RE: [amibroker] Real World Systems - Multiple Sub Signals

["Bob Jagow" <bjagow@xxxxxxxxxxx>]

What's to mention, Ken?
<FONT 
color=#000080> 
The other platform  
pushed those binary indicators from DOS days, so most MetaStock users 
teethed on them. 
<FONT 
color=#000080> 
Dave 
Evans,  founder of a trading group I'm involved  
with, propounded them and often posted re them on <FONT 
color=#000000>SI's Technical Analysis - Beginners 
<FONT 
color=#000080> 
Jim Greenville details a 
system that he has evolved over the years at <A 
href="">http://www.geocities.com/jimginva/
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class=096483200-14042003><FONT face=Arial color=#000080 
size=3> 
<FONT face=Arial 
color=#000080 size=3>Bob
<SPAN 
class=096483200-14042003> -----Original Message-----From: 
Ken Close [mailto:closeks@xxxxxxxx]Sent: Sunday, April 13, 2003 1:51 
PMTo: amibroker@xxxxxxxxxxxxxxxSubject: [amibroker] Real 
World Systems - Multiple Sub Signals

  
  <SPAN 
  > <SPAN 
  >Multiple Sub Signals: - here is a real world trading 
  approach that I have never seen mentioned here.  I would like to get some 
  reaction.  This is based on some real world trading that is happening on 
  another platform that I am helping port over to 
  AB.
  <SPAN 
  > 
  <SPAN 
  >The idea is to have 
  signals for multiple subsystems and then take your trading signal when a 
  majority of the subsignals &#8220;line up&#8221;.
  <SPAN 
  > 
  <SPAN 
  >For discussion 
  purposes, visualize a mov avg cross over   AND
  <SPAN 
  >A volume 
  oscillator   AND
  <SPAN 
  >An advance decline 
  curve   AND
  <SPAN 
  >Perhaps a VIX type 
  signal.
  <SPAN 
  > 
  <SPAN 
  >If you let each one 
  be a buy or sell, and call each S1, S2, S3, S4
  <SPAN 
  > 
  <SPAN 
  >then your buy 
  statement could be 
  <SPAN 
  > 
  <SPAN 
  >Buy = S1 AND S2 AND 
  S3 AND S4.
  <SPAN 
  > 
  <SPAN 
  >This might be a 
  little too stringent, so perhaps you code it to give a buy if 3 of the 4 
  signals are a buy and you do not care which ones.
  <SPAN 
  > 
  <SPAN 
  >In the work that I 
  am doing with this approach, I am seeing that each S(i) has a return and a dd 
  over a long period of time, but as you add combinations of the signals, the 
  return increases a little bit but the dd seems to drop and drop quite a 
  bit.  An example might be returns for each one individually of say 8-10% 
  CAR and 13-15% dd, but when 3 out of 4 are combined as I describe above, the 
  resulting return might be 9-12% CAR and 6-9% dd.   These are not 
  barn burners, and those seeking or actually trading 50-100% CAR systems will 
  laugh as they hit delete, but for some folks who are risk adverse, or managing 
  retirement portfolios, or whatever, this kind of approach might have some 
  appeal.
  <SPAN 
  > 
  <SPAN 
  >In the work I have 
  done so far, there has been NO OPTIMIZATION of the parameters within the 
  subsystems.  Any In sample period compares favorably with OOS 
  periods.  The results look steady over 12 years of data, with variations 
  due to changing market conditions.  (I am not sure &#8220;IS and OOS&#8221; apply 
  when no optimization has been done, but what I mean is that breaking the total 
  time period up into sections shows no real degradation or &#8220;blowup&#8221; of one 
  period relative to the other.)
  <SPAN 
  > 
  <SPAN 
  >The details of the 
  subsystems are not the issue here&#8212;what I am raising is the question of the 
  drawdown dampening effect of the combination.  Is this a mathematically 
  correct thing to expect?  Does moving in this direction promise dd 
  reduction?   Assuming you select subsystems that are not highly 
  correlated, should you not expect improvements in the combination that are not 
  possible in the single subsystems?
  <SPAN 
  > 
  <SPAN 
  >Any comments?  
  Build-upons?  What?
  <SPAN 
  > 
  <SPAN 
  >KenSend 
  BUG REPORTS to bugs@xxxxxxxxxxxxxSend SUGGESTIONS to 
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